The Internet Archive has a scan of Modern One Act Plays, edited by Wayne Philip (1935), which includes ‘The Miracle-Merchant’, a short play closely based on the short story ‘The Hen’ (in Beasts and Super-Beasts). It takes over the plot and most of the dialogue from the original, though Mrs. Sangrail and Clovis become Mrs. Beauwhistle and her nephew Louis Courcet.
This is a curious piece, whose provenance, according to Brian Gibson, is unknown (Reading Saki, p. 197). It was first printed the year before in One-act plays for stage and study, eighth series; twenty contemporary plays (publisher: S. French, Ltd., 1934).
The notes to the play are not much help. They begin:
This is ‘Saki’s’ dramatic version of his own short story called The Hen, which is the fifth tale in the collection entitled Beasts and Super-Beasts. It is very interesting to compare the two and to observe the skilful [sic] addition of suitable stage movement: much of the dialogue remains unaltered, but the breakfast business, for instance, is added to enliven the scene.
The rest is a potted biography/overview of Munro’s works which leans heavily on Ethel Munro’s biographical sketch of her brother.
Neither of the other main works on Munro (Langguth’s biography and Sandie Byrne’s The Unbearable Saki) have anything to say about it.
Oddly, the play is prefaced by a legal notice beginning: “All performing rights are reserved by the author”, although by this time Munro had been dead for nearly twenty years, so couldn’t have given his permission even if he’d wanted to. On the other hand, in the Acknowledgments thanks are given to “the Literary Executors of the Author, and Messrs. John Lane, The Bodley Head, Ltd.” for permission to reprint. The mention of Munro’s publishers is interesting: had they in some way the rights to the play? Or rights deriving from the fact they published the story on which the play was based? The actual first publication of the play, as mentioned above, was not by The Bodley Head but by Samuel French, the pre-eminent publisher of stage plays (albeit in an anthology). Perhaps if that edition could be tracked down some more information could be gleaned on this offshoot of Munro’s main work as a short-story writer.
Here’s the link: https://archive.org/details/in.ernet.dli.2015.34453/page/n189/mode/2up